Open, Flexible and Customizable Portfolio Testing
Platform for Professional Traders - Portfolio Maestro - is now available.
RINA Systems has released Portfolio Maestro software. Portfolio
Maestro objective is to provide traders with a powerful flexible trading system research and trading environment that is data
and broker independent. In addition, Portfolio Maestro can be customized to integrate with your existing technology
infrastructure.
Automated environment to backtest multiple strategies
on a large volume of symbols across a range of strategy inputs. Successful quantitative hedge funds employ a variety of
strategies (known as multi-strategy). They cover a variety of asset classes such as equities, futures, and foreign exchange
and a range of different core strategies such as pairs trading, trend following, mean reversion, and inter-market strategies.
Until now a commercial tool to test multiple strategies on portfolios that span across a variety of time frames (including
intra-day), groups of symbols, and diverse asset classes in a data and broker independent platform was not available.
Portfolio Maestro changes all of that by delivering unparalleled portfolio backtesting capabilities designed to meet the
extensive requirements of professional investors and traders.
When researching a trading methodology it is important to be
able to see how a strategy performs in comparison with other strategies in the portfolio over time. It is also important to
have clear metrics on the performance of the overall portfolio. No other platform enables the range of portfolio testing that
is found in Portfolio Maestro where you can:
- Create custom Symbol Lists of stocks, bonds, or
foreign exchange for research and trading based on asset class, index
composition, or any other user-defined criteria
- Apply one or many strategies to the Symbol Lists
- Test on a single or range of parameter settings for
the strategies
- Test any number of strategies or symbols lists across
multi time frames (bar intervals) within the same portfolio
- Run all of the above together within a portfolio simultaneously
This unparalleled flexibility is made possible by the
creation of System Groups. Only found in Portfolio Maestro, this unique tier represents the matching of one or multiple buy
and sell rules (strategy) with one or more user defined symbol lists with a given set of parameters and time interval
settings. By using a modular design, Portfolio Maestro makes it easy to create and test your own multi-strategy portfolio.
Integrated money and risk management during portfolio
testing and signal generation for more realistic portfolio simulations and better real time trading.
Once a profitable trading idea has been conceptualized
and implemented one still needs to determine how much capital to allocate to each trade and make sure that the strategy
can be implemented given real world capital constraints. Moreover, allocating even modestly different amounts of the
portfolios risk per trade can make the difference between a dramatic compounding of equity, moderate growth, or potential
disaster in the case of over-leveraging. In addition to considerations of how much to risk per trade, portfolio managers
must deal with real world capital constraints that can limit which trades they can take or how many positions can reasonably
be funded within a portfolio simultaneously. Portfolio Maestro gives you consummate flexibility in testing your money and
risk management rules on your hypothetical portfolio before implementing your trading strategies and then to continue
to manage that risk once a system has been implemented.
Some of Portfolio Maestro’s powerful capabilities in
the area of money management and risk constraints include the ability to:
- Define your own variables to determine the percent
of portfolio capital risked per trade
- Design your own money management strategies using
.NET DLLs
- Allocate different amounts of capital per trade in
different trading systems
- Limit the leverage across the portfolio
- Limit the margin as a percent of portfolio equity
- Limit the number of concurrent positions within a portfolio.
These are just a few examples of how you can implement money
and risk management in Portfolio Maestro. With its flexible programming environment the options are nearly limitless.
Flexible environment for implementing trading systems.
Finding quantitative strategies is hard enough without facing limitations imposed by your research environment. That is why
we designed Portfolio Maestro to be as accommodating as possible to let you implement as many strategies as you can imagine.
While many testing environments are chart centric, Portfolio Maestro allows you to implement strategies referencing a single
symbol’s price history, using multiple reference series, or even cross-sectionally by using ranking formula(s) in your strategy
logic. The backtesting and trading capabilities of Portfolio Maestro are chart independent enhancing both backtesting speed and
agility at the same time.
In our experience serious quantitative traders want a flexible
development environment. To meet this objective we have opened up Portfolio Maestro so that any strategy can be coded in
a .NET environment (such as VB.NET or C#).This has the advantage of not only being more adaptable than rigid proprietary
scripting languages, but it is more easily supported since languages such as Visual Basic and C have the largest pools of
developers worldwide. Here are a few examples of strategies that can be developed using Portfolio Maestro in combination
with .NET languages:
- Rank 1000 stocks based on percent return over the
last 100 days and then buy stocks making new 20-day highs on above average
volume ranked in the top deciles based on the 100 day return rank.
- Apply X% of portfolio assets as a portfolio
Value-at-Risk for 95% confidence interval (or other risk measure) to be
used as a constraint on the capital for a trend following strategy on a
commodities symbol list. Test various values of X using optimization.
Industry standard reporting metrics. Portfolio reporting
for quantitative strategies has been our focus for more than a dozen years. Our reports have become the standard for trading
system backtesting and have even been incorporated into other popular backtesting programs. However, gaining on our
experience working with professionals and our own observations on which metrics are most important for trading system analysis,
we decided to design the performance reporting capabilities of Portfolio Maestro from the bottom up.
We have designed our reports to let you analyze your trading strategies
with the same level of detail and rigor that a potential investor would evaluate a hedge fund. In addition, our reports are
designed to be able to easily produce "pro-forma" hypothetical results once your strategy is ready for roll-out. Performance
reporting includes:
- Trade based statistics
- Return based statistics such as Sharpe Ratio, peak to
trough drawdown, CAGR and CMGR, and distribution of returns.
- Detailed trade lists including descriptions of trades
with the portfolio including the strategy that generated the trade as well
as the money management used to determine positions size
- Interactive performance graphs with logical
categories of analysis
- Easily exportable chart data for use in other
programs or reports.
Broker and data independent platform for strategy research
and implementation. Portfolio managers want to be able to use the data of their choice for research and trading
and select the brokers with which they want to do business. At a time when most backtesting platforms are becoming
increasingly more proprietary, tied to specific brokerage operations or data feeds, Portfolio Maestro provides an
alternative. Our vision is to provide professional quantitative traders with an open and flexible backtesting and trading
environment that places minimal restrictions on which data to use for research and with which brokerage firms to automate
trading.
Using Portfolio Maestro you will:
- Trade more profitably and develop a better edge in the market
- Have the capability to develop any strategy or use the data sources you need
- Save time for testing and research
- Know your strategy performance on portfolios using real trading assumptions
- Trade with more confidence
Click HERE to see the Portfolio Maestro key features list.
Click Product Ordering to purchase Portfolio Maestro.
Call today and see how Portfolio Maestro can revolutionize strategy development and portfolio testing for you.
Call RINA Systems at (513) 469-7462.
Or e-mail us at Sales@RINASystems.com
Existing users please inquire about special pricing.
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